In this paper, we extend the work of Hirshleifer, Hou, Teoh and Zhang (2004) on the “sustainability effect” by directly linking the implications of NOA (net operating assets) and NOA components for the sustainability of current earnings performance with future stock returns. After...

In this paper we investigate the relation of the anomalies on accruals and net stock issues with the value/glamour anomaly. Our findings reveal, that hedge strategies on retained earnings, total accruals, net operating assets (accrual proxies), cash distributions to equity holders (net stock...

In this paper, we investigate the informational content of retained and distributed earnings for future profitability and market mispricing. We find that investors act as if the components of retained earnings (current operating accruals, non current operating accruals and retained cash flows)...

In this paper, we use option based measures of financial performance that utilize market information in a binary probit regression to examine their informational context and properties as distress indicators and to estimate default probabilities for listed firms. Then, we enrich them with...

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for the Athens Stock Exchange General Index. We model VaR for...

We evaluate the performance of an extensive family of ARCH models in modelling daily Value-at-Risk (VaR) of perfectly diversified portfolios in five stock indices, using a number of distributional assumptions and sample sizes. We find, first, that leptokurtic distributions are able to produce...

This paper proposes a method of calculating a Liquidity Adjusted Value-at-Risk (L-VaR) measure. Traditional VaR approaches assume perfect markets, where an investor can buy or sell any amount of stock without causing a significant price change. Such a hypothesis is seldom verified in practice,...